Typically, the vagus nerve does not itself cause chest pain. It can, however, be stimulated in the setting of pain, which in some people can cause decreased heart rates and lower blood pressure. This is called the vasovagal response, and is responsible for some people passing out. Typically the vasovagal response is caused by excess stimulation from the vagus nerve in response to a stimuli, such as pain, cold temperature, but even stress (or sight of blood) can do it. This doesn't cause a chest pain, but may be a response to it.
With regard to headache, I do not know if there is any correlation, but if you are still curious, you could look into the neurology forum for an expert opinion there.
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